derivatives report 4th october 2011

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Derivative ReportIndia Research

Oct 04, 2011

SEBI Registration No: INB 010996539 For Private Circulation Only 1

Comments

The Nifty futures’ open interest increased 0.43% whileMinifty futures’ open interest increased by 10.10% as

market closed at 4849.50 levels.

The Nifty Oct. future closed at a premium of 8.25 pointagainst a discount of 8.95 points. The November Series

closed at a Premium of 21.85 points.

The Implied Volatility of at the money options is

increased from 29.57% to 34.46%.

The PCR-OI has increased from 1.40 to 1.42 points.

The total OI of the market is ` 99,687.92cr. And the

stock futures OI are `25,020.46cr.

Stocks where cost of carry is positive are GITANJALI,

SUNTV, GLAXO, RUCHISOYA and DCHL.

Nifty Vs OI

OI Gainers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

SINTEX 4386000 12.98 111.60 -12.26

ARVIND 2812000 12.66 99.65 1.22

HDFC 5844000 12.08 634.45 -1.01

SAIL 7836000 11.09 100.40 -4.97

HINDZINC 1980000 10.74 112.65 -5.18

Put-Call Ratio

SCRIP PCR-OI PCR-VOL

NIFTY 1.42 1.15

SBIN 0.61 1.00

RELIANCE 0.60 0.72

INFY 0.33 0.95

LT 0.35 0.31

View

Most of the fal l of yesterday’s session in US marketswas discounted in our and other Asian markets. FII’sare now in full sell mode i.e. selling in equity,shorting in index futures and buying put options.

4300 put has been adding significant open interestsince last couple of trading session and rise in IV andFII’s data suggests its buying. Substantial built-up isobserved in 4700 and 4800 put too. Some additionwas seen in 4900 call strike.

There is scope of fresh shorting in MARUTI as openinterest is slightly on the lower side. We believecompetition will dent the premium which stockenjoys. Short with stop loss of `1120 and target of`982.

Too many short positions standing in JETAIRWAYSand crude prices have corrected meaningfully. Shortcovering very likely. Go long with stop loss of ` 213and target of `258.

Historical Volatility

SCRIP HV

SCI 60.55

SINTEX 86.33

BPCL 34.33

GESHIP 47.90

TATACHEM 33.72

OI Losers

SCRIP OIOI

CHANGE(%)

PRICEPRICE

CHANGE(%)

TATAPOWER 7867500 -10.55 96.75 -3.10

EXIDEIND 1668000 -8.85 131.35 1.35

GAIL 993000 -8.69 418.20 1.86

TVSMO TOR 3780000 -6.71 59.80 -1.89

LUPIN 1012000 -5.95 472.40 -0.41



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 2

FII Statistics for 03-Oct-2011

Detail Buy Sell Net

Open Interest

Contracts Value Change(Rs. in cr.) (%)

INDEXFUTURES

2173.73 2644.79 (471.07) 522047 12561.66 -1.91

INDEXOPTIONS

8734.58 7122.92 1,611.66 1606831 38960.15 8.47

STOCK

FUTURES1201.43 1380.46 (179.02) 1108151 25911.29 1.54

STOCK

OPTIONS288.04 277.66 10.38 27144 666.13 12.13

Total 12397.79 11425.82 971.96 3264173 78099.23 4.31

Turnover on 03-Oct-2011

InstrumentNo. of

ContractsTurnover(Rs. in cr.)

Change(%)

Index Futures 542368 12137.42 -16.84

Stock Futures 388076 9084.42 -25.86

Index Options 2344917 57621.68 -10.30

Stock Options 93163 2302.82 -17.52

Total 3368524 81146.33 -13.56

Nifty Spot = 4849.50 Lot Size = 50

Bull-Call Spreads Bear-Put Spreads

Action Strike Price Risk Reward BEP Action Strike Price Risk Reward BEP

Buy 4900 136.8045.85 54.15 4945.85

Buy 4800 142.3033.85 66.15 4766.15

Sell 5000 90.95 Sell 4700 108.45

Buy 4900 136.8080.20 119.80 4980.20

Buy 4800 142.3062.00 138.00 4738.00

Sell 5100 56.60 Sell 4600 80.30

Buy 5000 90.9534.35 65.65 5034.35

Buy 4700 108.4528.15 71.85 4671.85

Sell 5100 56.60 Sell 4600 80.30

Note: Above mentioned Bullish or Bearish Spreads in Nifty (Oct. Series) are given as an information and not as a recommendation

Nifty Put-Call Analysis



Derivative Report | India Research

For Private Circulation Only SEBI Registration No: INB 010996539 3

Strategy Date Scrip Strategy Status

03-10-2011 NIFTY Long Put Ladder Continue

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derivatives report 4th october 2011

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